Does Aggregated Returns Disclosure Increase Portfolio Risk-Taking?

John Beshears, James Choi, David Laibson and Brigitte Madrian

No 16868, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: Many previous experiments have found that participants invest more in risky assets if they (i) see their returns less frequently, (ii) see portfolio-level returns (rather than individual asset-by-asset returns), or (iii) see long-horizon (rather than one-year) historical asset class return distributions. In contrast, we find that such information aggregation treatments do not increase equity allocations in an experiment where—unlike previous experiments—participants invest in real mutual funds over the course of one year. In a follow-up experiment, we start with the classic Gneezy and Potters (1997) experimental design and modify it step-by-step to move closer to the design of our first experiment. Using this identification strategy, we show that previously documented aggregation effects are not robust to (i) changes in the distribution of the risky asset’s returns and (ii) the introduction of a multi-day delay between the initial portfolio choice and the realization of returns.

JEL-codes: D14 G11 (search for similar items in EconPapers)
Date: 2011-03
Note: AG AP
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Published as John Beshears & James J. Choi & David Laibson & Brigitte C. Madrian, 2017. "Does Aggregated Returns Disclosure Increase Portfolio Risk Taking?," Review of Financial Studies, Society for Financial Studies, vol. 30(6), pages 1971-2005.

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